Multivalued stochastic differential equations: Convergence of a numerical scheme

zbMath1031.60050MaRDI QIDQ1410233

Frédéric Bernardin

Publication date: 14 October 2003

Published in: Set-Valued Analysis (Search for Journal in Brave)

zbMATH Keywords

maximal monotone operatorsnumerical experimentsstochastic differential equationsSkorokhod problemnumerical scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

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A stochastic differential equation from friction mechanics ⋮ Error estimates of the backward Euler-Maruyama method for multi-valued stochastic differential equations ⋮ Strong convergence rate for multivalued stochastic differential equations via stochastic theta method ⋮ Large deviations for invariant measures of multivalued stochastic differential equations ⋮ Ensemble approximations for constrained dynamical systems using Liouville equation ⋮ Fold-up derivatives of set-valued functions and the change-set problem: a survey ⋮ A Piecewise Deterministic Markov Process Approach Modeling a Dry Friction Problem with Noise ⋮ Approximating and Simulating Multivalued Stochastic Differential Equations ⋮ Stochastic perturbation of sweeping process and a convergence result for an associated numerical scheme ⋮ Stochastic dynamics of fluid–structure interaction in turbulent thermal convection ⋮ Differentiation of sets in measure ⋮ Stochastic Theta Method for a Reflected Stochastic Differential Equation ⋮ Study of a rheological model with a friction term and a cubic term: deterministic and stochastic cases

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